[Sem-coll] Applied Math Seminars & Colloquium Next Week

Joe Millham jmillham at iit.edu
Tue Nov 23 16:12:40 CST 2010


Please join the Applied Math department for the following Seminars and
Colloquia.  All are welcome to attend, and refreshments will be served
at some events.  For a complete and updated listing of the
department's seminars, please visit the seminar webpage:
http://www.iit.edu/csl/am/colloquia/

Department Colloquium
Monday, Nov. 29  4:40 pm E1 106
Xiao-Song Yang, Huazhong University of Science and Technology, Wuhan, China
"Does God Allow Us to Play Dice with Him?"
See abstract below
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Department Colloquium
Wednesday, Dec. 1   4:40 pm  E1 106
Samuel Drapeau, University of Berlin, Germany
"Risk Preferences and their Robust Representation: Beyond Random
Variables, a Setup Independent Approach"
See abstract below
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Department Colloquium
Monday, Nov. 29  4:40 pm E1 106
Xiao-Song Yang, Huazhong University of Science and Technology, Wuhan, China
"Does God Allow Us to Play Dice with Him?"
Abstract:
Hyperbolicty is a fundamental property that makes a dynamical system
display complex behaviors such as chaos.  Controllability is also
another fundamental property that means a control system can exhibit a
desired behavior as long as an external input is properly designed.

It may appear that hyperbolicity would  make controllability difficult
or even impossible.  In this talk I will show that this is not the
case; on the contrary, the controllability  can take advantage of
hyperbolicity, thus giving an affirmative answer to the question in
the title.
++++++++++++++++++++++++++++++++++

Department Colloquium
Wednesday, Dec. 1   4:40 pm  E1 106
Samuel Drapeau, University of Berlin, Germany
"Risk Preferences and their Robust Representation: Beyond Random
Variables, a Setup Independent Approach"
Abstract:
Due to the plurality of interpretations of risk, we concentrate on
context invariant features related to this notion: diversification and
monotonicity. We introduce and study the general properties of three
key concepts in an abstract framework: risk order, risk measure and
risk acceptance family. Our main result is a uniquely characterized
robust representation of lower semi-continuous risk orders.
We will also give some new results when monotonicity actually ensures
the lower semicontinuity of risk orders.
This general approach to risk perception leaves room for different
interpretations of risk perception within one concept depending on the
setting and one's perspective.
We illustrate this with several settings.
In the setup of random variables, where risk perception can be
interpreted as a model risk, we give a robust representation for
numerous risk measures: various certainty equivalents, or a general
version of Aumann and Serrano's economic index of riskiness among
others.
In the setup of lotteries where risk perception can be seen as a
distributional risk, we show that the Value at Risk is a risk measure
on this level (not for random variables) and provide a robust
representation for it. In the setup of consumption patterns where risk
perception is related to a discounting risk, we provide a robust
representation of intertemporal risk measures \`a la Hindy, Huang and
Kreps or Epstein and Zin.
We finally discuss in the setting of state dependent lotteries à la
Anscombe and Aumann, the interplay between model risk and
distributional risk.
++++++++++++++++++++++++++++++++++

Happy Thanksgiving!

Joe Millham

Administrative Assistant
Department of Applied Mathematics
Illinois Institute of Technology
Engineering-1 Room 208
10 W. 32rd St.
Chicago IL 60616
312.567.8984 (Phone)
312.567.3135 (Fax)





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